Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 08 (3D) Dec 09 (4D) Dec 10 (5D) Dec 11 (6D) Dec 12 (7D) Dec 15 (10D) Dec 16 (11D) Dec 17 (12D) Dec 18 (13D) Dec 19 (14D) Dec 26 (21D)
lower 674.599 673.084 671.75 670.544 669.434 666.514 665.642 664.808 664.009 663.239 658.486
upper 694.181 695.696 697.03 698.236 699.346 702.266 703.138 703.972 704.771 705.541 710.294
expected move 9.791 11.306 12.64 13.846 14.956 17.876 18.748 19.582 20.381 21.151 25.904
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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